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Registros recuperados: 50 | |
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Tonsor, Glynn T.; Dhuyvetter, Kevin C.; Mintert, James R.. |
Successful risk management strategies for agribusiness firms based on futures and options contracts are contingent on their ability to accurately forecast basis. This research addresses three primary questions as they relate to basis forecasting accuracy: (a) What is the impact of adopting a time-to-expiration approach, as compared to the more common calendar-date approach? (b) What is the optimal number of years to include in calculations when forecasting livestock basis using historical averages? and (c) What is the effect of incorporating current basis information into a historical-average-based forecast? Results indicate that use of the time-to-expiration approach has little impact on forecast accuracy compared to using a simple calendar approach, but... |
Tipo: Journal Article |
Palavras-chave: Basis; Basis forecasts; Cattle prices; Current information; Hedging; Livestock Production/Industries. |
Ano: 2004 |
URL: http://purl.umn.edu/31115 |
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Woodard, Joshua D.; Garcia, Philip. |
Previous studies identify limited potential efficacy of weather derivatives in hedging agricultural exposures. In contrast to earlier studies which investigate the problem at low levels of aggregation, we find that better weather hedging opportunities may exist at higher levels of spatial aggregation. Aggregating production exposures reduces idiosyncratic risk, leaving a greater proportion of the total risk in the form of systemic weather risk which can be effectively hedged using relatively simple weather derivatives. The aggregation effect suggests that the potential for weather derivatives in agriculture may be greater than previously thought, particularly for aggregators of risk such as reinsurers. |
Tipo: Journal Article |
Palavras-chave: Crop insurance; Hedging; Reinsurance; Spatial aggregation; Systemic risk; Weather derivatives; Risk and Uncertainty. |
Ano: 2008 |
URL: http://purl.umn.edu/36705 |
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Hawes, Cullen R.; Wilson, William W.; Dahl, Bruce L.. |
Agricultural firms that use Value at Risk (VaR) tend to be the large diversified corporations. The benefits of VaR in the agricultural industry are not limited to large conglomerates; however, and this study provides empirical examples of how mid to large sized commodity end-users can use VaR to quantify price risk exposure. By reporting price risk in terms of dollars as a single summary statistic, VaR provides a more intuitive measure of risk for decision makers, especially when the distribution of portfolio value changes is non-normal. VaR also separates downside from upside potential by focusing on the left-hand tail of a portfolio's distribution of returns. The purpose of this study is to demonstrate how VaR can be applied to the portfolio of a... |
Tipo: Working or Discussion Paper |
Palavras-chave: Value at Risk; Hedging; Processor Futures; Options; Marketing; Risk and Uncertainty. |
Ano: 2005 |
URL: http://purl.umn.edu/23608 |
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McNew, Kevin; Musser, Wesley N.. |
The current agricultural marketing literature has considerable controversy about the optimal use of hedging for farmers. Much of this literature has very limited data on farmer behavior and an evaluation of the outcome of this behavior. This paper uses data from a hedging game from Maryland marketing clubs for 1994-1998. Hypotheses concerning the consistency of farmer behavior with the research literature on hedging are considered. Results indicate that farmers do not achieve price enhancement from hedging. However, their decisions do not conform to implications of optimal hedging models in a number of dimensions. This analysis provides further information to help bridge the gap between academic research and practical hedging. |
Tipo: Working or Discussion Paper |
Palavras-chave: Grain Marketing; Hedging; Risk Management; Demand and Price Analysis; Marketing. |
Ano: 2000 |
URL: http://purl.umn.edu/28568 |
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Mahul, Olivier. |
The demand for hedging against price uncertainty in the presence of crop yield and revenue insurance contracts is examined for two French wheat farms. The rationale for the use of options in addition to futures is first highlighted through the characterization of the first-best hedging strategy in the expected utility framework. It is then illustrated using numerical simulations. The presence of options is shown to allow the insured producer to adopt a more speculative position on the futures market. Futures are shown to be performing, in terms of willingness to receive. Options are weakly performing when futures markets are unbiased, while they are more performing when futures markets are biased. |
Tipo: Conference Paper or Presentation |
Palavras-chave: Crop insurance; Hedging; Producer welfare; Simulation; Risk and Uncertainty. |
Ano: 2002 |
URL: http://purl.umn.edu/24881 |
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Registros recuperados: 50 | |
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